Do you mean when you right-click and select Check Out but don't actually open the document? If I actually open the document most apps seem to be adding the document to the list already (except text documents, neither Notepad nor Notepad++ worked for me). But if I JUST Check Out the document it is not added to the list.

Not sure I'd want something i only checked out to be added to the list. Copying a file from a network share to your local computer doesn't add it to the list either, and that's what i view Check Out as, copying from projectwise to the computer. Actually opening the file is different.

Oh, to actually answer your question: To make a feature request I file a normal ticket with Bentley requesting the feature. Merely posting to the forums is insufficient, tracking as a ticket is better. It'll usually get turned into a Customer Request (CR) type ticket. How they handle it from there I have no idea.